def kutSendBatch(notional, batchSize, batchN, ccyData, kutSide, realizedSlippageBps_all):
ccy=ccyData.ccy
SHARED_CCY_DICT[ccy] = {'futExch': ['ftx', 'kut']}
CT_CONFIGS_DICT['CURRENT_KUT'] = ccyData.chosen
apiDict, trade_qty, _, _ = cl.ctInit(ccy, notional, 0)
realizedSlippageBps_batch=[]
for n in range(batchSize):
print(cl.timeTag(termcolor.colored('Batch '+str(batchN) +' Program '+str(n+1)+' / '+ccy,'blue')))
fDict = cl.getFundingDict(apiDict, ccy)
sbDict = cl.getSmartBasisDict(apiDict, ccy, fDict, isSkipAdj=True)
ftxSide = 'BUY' if kutSide == 'SELL' else 'SELL'
isFTXSpot = ccy in AUTO_DICT['FTX_SPOT_UNIVERSE']
api = cl.ctKUTStepper(kutSide, ccy, trade_qty)
cl.speak('Go')
#####
longFill, shortFill = sendOrders(apiDict, isFTXSpot, ftxSide, 'kut', kutSide, api, ccy, trade_qty)
basisBps=getBasisBps(isFTXSpot, ftxSide, 'kut', sbDict)
realizedSlippageBps_batch, realizedSlippageBps_all=processFills(longFill, shortFill, basisBps, realizedSlippageBps_batch, realizedSlippageBps_all)
print(cl.timeTag('Done'))
print()
cl.speak('Done')
return realizedSlippageBps_all
# Functions
###########
def ftxGetPos(unwindExch):
if unwindExch == 'spot':
return cl.ftxGetWallet(ftx).loc[ccy, 'total']
elif unwindExch == 'ftx':
return cl.ftxGetFutPos(ftx, ccy)
else:
sys.exit(1)
######
# Init
######
cl.printHeader('BBTUnwind')
apiDict, qty, _, spot = cl.ctInit(ccy, notional, 0)
ftx = apiDict['ftx']
if unwindExch == 'spot':
ftxTicker = ccy + '/USD'
elif unwindExch == 'ftx':
ftxTicker = ccy + '-PERP'
else:
sys.exit(1)
######
# Main
######
for i in range(SHARED_EXCH_DICT['bbt']):
n = i + 1
cl.printHeader('BBT' + str(n))
bb = cl.bbCCXTInit(n)
fillSAvg = (fillS1 * (qty - leavesQtyS) + fillS2 * leavesQtyS) / qty
fillBAvg=fillB1
else: # partial fills for both
print('bbtCrossOrder abnormal termination!')
sys.exit(1)
return fillBAvg / fillSAvg - 1 # slippage
def move(accountBuy, accountSell, ccy, qty):
cl.printHeader('Buying in BBT' + str(accountBuy) + ' / Selling in BBT' + str(accountSell))
if qty <= 0:
print('Error! qty=='+str(qty))
sys.exit(1)
slippageBps=bbtCrossOrder(accountBuy,accountSell,ccy,qty)*10000
print()
print(termcolor.colored('Realized slippage = ' + str(round(slippageBps)) + 'bps', 'red'))
######
# Init
######
CT_CONFIGS_DICT['MAX_NOTIONAL_USD'] = notional
cl.printHeader('BBTWash')
_,qty,_,_ = cl.ctInit(ccy, notional, 0)
######
# Main
######
move(accountBuy, accountSell, ccy, qty)
print()
print('BBT Wash completed!')
cl.speak('B B T Wash completed')
